Stock Exchange Cointegration in Developed and Developing Countries in Asia during the Covid-19 Pandemic

    Siti Komariah ,Isti Sri Mulyani ,Faisal Afriandi ,Putri Indriani ,Antia Elsa Septiana

    Abstract

    The capital market of a country with the capital market of other countries has a relationship, whether it has the same commodity, the same transaction hours or the same area. Like the capital markets of developed and developing countries, which will chase each other to have a significant impact on the economy of their respective countries. This study was conducted to determine the extent of the long-term relationship (cointegration) between the stock exchanges of developed and developing countries during the Covid-19 pandemic. In this study, the developed countries that were sampled were Japan and Singapore, while for developing countries are the stock exchanges of Indonesia, Malaysia and India. Data analysis used is descriptive statistical test, correlation test, unit root test and cointegration test. The data used is daily data on the main index of stock prices starting from January 2020 to April 2021. The results of the study using the correlation test identified that the five stock indices had a strong and unidirectional correlation. While the results of the cointegration test result in an interaction or cointegration of the Indonesian stock exchange with the stock exchanges of Malaysia, India, Singapore and Japan. However, if a cointegration test is carried out between state units, the Indonesian stock exchange is integrated with the Malaysian stock exchange, but it doesn't have any cointegration with India, Singapore and Japan stock exchanges during the Covid-19 pandemic.

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